A Stochastic Control Model with Chance Constraints

DOI10.1137/0316046MaRDI QIDQ4174611zbMATH OpenOpenAlexFDO

Authors Norbert Christopeit

Publication date 1978

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0316046

zbMATH Keywords

Chance ConstraintsFeedbackLinear Stochastic Differential EquationNecessary Optimality ConditionNonlinear Deterministic Control ProblemStochastic Control Model

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

Cited in

(2)

• Controlled Ornstein-Uhlenbeck process with chance constraints
• On the existence of optimal solutions in a stochastic control model

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